A European Equity Long Factor: Performance and Risk

Institutional investment funds are the main providers of stock borrowed by short sellers. When those
institutions buy or sell securities, stock flows in and out of lendable inventory.

This suggests that daily lendable data might be a proxy for institutional ownership. For the Stoxx 600, the
cross sectional correlation of lendable inventory with free float1 is +0.69; and with institutional ownership it
is +0.50. This supports the view that lendable data might provide a high frequency proxy for changes in
these lower frequency measures. The correlations are not perfect, suggesting that lendable is also tracking
some other elements of ownership structure.